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Econometrics

Financial Stability 1

Speaker: 
Jean-Charles Rochet
Date: 
Mon, Jul 21, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

The lender of last resort: An analysis of the economics and politics of banking crises, and episodes of bail-outs of
failing financial institutions.

  • Rochet Vives (2004) “The Lender of last Resort: was Bagehot right after all?” JEEA, 6, 1116-1147, reprinted in Rochet J.C. (2008) “Why are there so many banking crises?, Princeton University Press, chapter 2

Contingent Capital and Financial Networks 1

Speaker: 
Paul Glasserman
Date: 
Mon, Jul 21, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

These lectures will cover two topics. The first is contingent capital in the form of debt that converts to equity when a bank 
nears financial distress. These instruments offer a potential solution to the problem of banks that are too big to fail by 
providing a credible alternative to a government bail-out. Their properties are, however, complex. I will discuss models for the analysis of contingent capital with particular emphasis on their incentive effects and the design of the conversion trigger. The second topic in these lectures is the problem of quantifying contagion and amplification in financial networks. In particular, I will focus on bounding the potential impact of network effects under the realistic condition that detailed information on the structure of the network is unavailable

Diffusion Models for Systemic Risk 1

Speaker: 
Jean-Pierre Fouque
Date: 
Mon, Jul 21, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will 
be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via 
large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the 
Mean Field Game approach.

Over the Counter Markets

Author: 
Darrell Duffie
Date: 
Thu, Jul 17, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

This lecture is part of a series on "Risk Sharing in Over-the-Counter Markets"

Financial System Architecture

Author: 
Darrell Duffie
Date: 
Wed, Jul 16, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

These lecture notes are part of a series on "Risk Sharing in Over-the-Counter Markets"

Mathematics and the Planet Earth: a Long Life Together II

Speaker: 
Ivar Ekeland
Date: 
Wed, Jul 17, 2013
Location: 
PIMS, University of British Columbia
Conference: 
Mathematics of Planet Earth 2013
Abstract: 

When Colombus left Spain in 1492, sailing West, he knew that the Earth was round and was expecting to land in Japan. Seventeen centuries earlier, around 200 BC, Eratosthenes had shown that its circumference was 40,000 km, just by a smart use of mathematics, without leaving his home town of Alexandria. Since then, we have learned much more about Earth: it is a planet, it has an inner structure, it carries life , and at every step mathematics have been a crucial tool of discovery and understanding. Nowadays, concerns about the human footprint and climate change force us to bring all this knowledge to bear on the global problems facing us. This is the last challenge for mathematics: can we control change?
This is a two-part lecture, investigating how our idea of the world has influenced the development of mathematics. In the first lecture on July 15, I will describe the situation up to the twentieth century, in the second one on July 17 I will follow up to the present time and the global challenges humanity and the planet are facing today.
 

Mathematics and the Planet Earth: a Long Life Together I

Speaker: 
Ivar Ekeland
Date: 
Mon, Jul 15, 2013
Location: 
PIMS, University of British Columbia
Conference: 
Mathematics of Planet Earth 2013
Abstract: 
When Colombus left Spain in 1492, sailing West, he knew that the Earth was round and was expecting to land in Japan. Seventeen centuries earlier, around 200 BC, Eratosthenes had shown that its circumference was 40,000 km, just by a smart use of mathematics, without leaving his home town of Alexandria. Since then, we have learned much more about Earth: it is a planet, it has an inner structure, it carries life , and at every step mathematics have been a crucial tool of discovery and understanding. Nowadays, concerns about the human footprint and climate change force us to bring all this knowledge to bear on the global problems facing us. This is the last challenge for mathematics: can we control change?
This is a two-part lecture, investigating how our idea of the world has influenced the development of mathematics. In the first lecture (July 15), I will describe the situation up to the twentieth century, in the second one (July 17) I will follow up to the present time and the global challenges humanity and the planet are facing today.

Multisector matching with cognitive and social skills: a stylized model for education, work and marriage

Speaker: 
Robert McCann
Date: 
Mon, Sep 24, 2012
Location: 
PIMS, University of British Columbia
Conference: 
PIMS/UBC Distinguished Lecture Series
Abstract: 
Economists are interested in studying who matches with whom (and why) in the educational, labour, and marriage sectors. With Aloysius Siow, Xianwen Shi, and Ronald Wolthoff, we propose a toy model for this process, which is based on the assumption that production in any sector requires completion of two complementary tasks. Individuals are assumed to have both social and cognitive skills, which can be modified through education, and which determine what they choose to specialize in and with whom they choose to partner. Our model predicts variable, endogenous, many-to-one matching. Given a fixed initial distribution of characteristics, the steady state equilibrium of this model is the solution to an (infinite dimensional) linear program, for which we develop a duality theory which exhibits a phase transition depending on the number of students who can be mentored. If this number is two or more, then a continuous distributions of skills leads to formation of a pyramid in the education market with a few gurus having unbounded wage gradients. One preprint is on the arXiv; a sequel is in progress.

Perturbation Methods

Author: 
Kenneth Judd
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Perturbation Methods

Numerical Dynamic Programming

Author: 
Kenneth Judd
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Numerical Dynamic Programming.
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